Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 1 3 2
Score -8.3 -4.93 -8.18
Market Cap (Millions USD) 9964.49 10189.64 10451.99
Predicted Beta 0.21 0.21 0.25
Idiosyncratic Volatility 3.48 3.89 5.85

Annualized return and volatility

XLE
Annualized Return 0.0635
Annualized Std Dev 0.2666
Annualized Sharpe (Rf=0%) 0.2381

Row

Daily Return Statistics

XLE
Observations 5112.0000
NAs 2.0000
Minimum -0.1444
Quartile 1 -0.0077
Median 0.0004
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0091
Maximum 0.1647
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0168
Skewness -0.1454
Kurtosis 9.1971

Downside Risk

XLE
Semi Deviation 0.0121
Gain Deviation 0.0115
Loss Deviation 0.0126
Downside Deviation (MAR=210%) 0.0166
Downside Deviation (Rf=0%) 0.0119
Downside Deviation (0%) 0.0119
Maximum Drawdown 0.5736
Historical VaR (95%) -0.0262
Historical ES (95%) -0.0393
Modified VaR (95%) -0.0248
Modified ES (95%) -0.0393
From Trough To Depth Length To Trough Recovery
2008-05-21 2009-03-02 2013-05-20 -0.5736 1278 202 1076
2014-06-24 2016-01-20 NA -0.4675 1411 405 NA
2001-05-21 2002-07-23 2004-07-16 -0.4153 807 297 510
2007-12-27 2008-01-22 2008-04-16 -0.1688 78 18 60
2005-09-30 2005-10-20 2006-01-13 -0.1645 75 16 59

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec XLE
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 -0.2 2.5 0.0 1.6 -0.9 0.0 1.9 1.0 0.0 3.2 2.2 0 11.8
2001 -1.3 1.1 0.0 -0.6 -0.4 0.0 -0.4 0.0 -1.4 1.5 0.0 0 -1.5
2002 0.5 1.4 0.7 0.6 0.0 -1.0 -5.9 0.0 3.2 2.6 0.0 0 2.0
2003 0.0 0.0 1.9 0.5 0.0 -0.1 -0.3 0.0 1.5 0.0 1.0 0 4.6
2004 0.0 1.9 -1.2 0.0 1.4 0.1 0.0 1.8 1.4 -0.6 -2.4 0 2.4
2005 1.7 -1.9 2.5 0.0 1.9 2.2 1.1 2.6 0.0 0.6 3.2 0 14.6
2006 -2.4 1.7 0.0 1.6 0.3 0.0 0.1 1.5 0.0 -1.0 0.3 0 2.1
2007 0.4 -0.3 0.0 0.4 0.9 0.0 -0.3 0.0 1.7 -2.9 0.0 0 -0.1
2008 2.5 0.0 1.9 -2.2 0.0 0.4 0.0 0.0 -1.6 0.0 -10.6 0 -9.9
2009 0.0 0.0 2.1 3.2 3.7 0.1 0.0 -1.7 -3.1 0.0 1.3 0 5.5
2010 3.3 0.9 1.8 0.0 -4.8 -0.4 0.0 3.7 1.3 0.1 3.0 0 9.1
2011 1.6 -1.9 0.3 0.0 -2.4 0.9 -0.1 -0.8 0.0 -3.2 -0.6 0 -6.0
2012 0.4 1.0 0.0 1.4 -2.5 0.0 0.5 0.0 0.5 0.4 0.0 0 1.7
2013 0.9 0.1 -0.2 -1.6 0.0 0.7 1.6 0.0 0.6 -0.4 0.0 0 1.9
2014 0.0 0.0 0.6 -0.2 0.0 0.1 -0.8 0.0 -2.0 0.0 0.4 0 -2.1
2015 0.0 0.0 0.0 0.2 -0.3 -1.3 0.0 -3.5 0.2 0.0 0.8 0 -3.9
2016 -1.7 2.6 -1.3 0.0 0.0 0.5 -3.3 -0.3 0.0 0.0 0.2 0 -3.2
2017 -0.7 2.0 0.0 -0.3 0.6 0.0 0.0 1.0 0.0 1.1 0.8 0 4.6
2018 1.0 -0.1 0.0 -0.6 0.5 0.0 -1.4 0.0 1.4 0.8 0.0 0 1.6
2019 1.7 1.8 1.3 -2.0 0.0 0.1 -2.3 0.0 -2.3 2.3 0.0 0 0.5

Row

Rolling Performance Chart

Snail Trail Chart